Although embankment seismic damages are very complex, there has been little seismic fragility research yet. Researches on seismic fragility of bridges, dams and reinforced concrete (RC) structures have achieved fruitful results, which can provide references for embankment seismic fragility assessment. Meanwhile, the influencing degrees of retaining structures, such as retaining walls on the embankment seismic performances are still unclear. The K1025+470 embankment of the Xi'an-Baoji expressway was selected as the research object, and the finite difference models of the embankment fill-soil foundation system and embankment fill-soil foundation-retaining wall system were established. The ground-motion records for Incremental Dynamic Analysis (IDA) were selected and the dynamic response analysis were conducted. Probabilistic Seismic Demand Analysis (PSDA) was used to deal with the IDA results and the seismic fragility curves were generated. Based on the assessment results, the influences of the retaining wall on the embankment seismic fragility were further verified. The research results show that regardless of which seismic damage parameter is considered or the presence or absence of the retaining wall, larger PGAs always correspond to higher probabilities of each seismic damage grade. Seismic damages to the embankment fill-soil foundation-retaining wall system are always lower than those of the embankment fill-soil foundation system under the same PGA actions, thus, the retaining wall can decrease the embankment seismic fragility significantly.